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  1. How to pass market data to c++ code?

    There are numerous APIs that will make this very easy for you and abstract away lower level details. For instances Qt has an SQL module (though installing Qt for this may be overkill). Poco libraries, from memory, have a library for DB access though I am not sure that one is under their open...
  2. Cover letter for Trading

    Personally, I find your cover letter too vague and lacks specifics. Firstly, leave your uncle out of this, this will already free up some space. This is something I'd bring up in the interview if they ask you "why do you want to become a trader". Then rather than saying you have been investing...
  3. Teen Programmer Hopes To Make A Million From A.I. App

    I agree completely. Though GP and evolutionary algorithms are not too difficult to grasp, the skill is to formulate your problem in a sensible way the algorithm can work and be trained with. How you represent the problem to the algorithm, potentially pre-treat the data and possibly tweak or...
  4. Deutsche Bank's secret agreement with German's Quant Finance lab

    Though there is an obvious conflict of interest, I have no problem with this at all. Obviously, DB won't nominate unqualified people as Adjuncts - it'd be harming their own reputation and that of the Lab. In actual fact, the Lab was recently putting out ads for MSc and PhD grads from all over...
  5. High Frequency Trading (HFT)

    I understand where he is coming from, but think that this is quite a narrow definition of HF algo trading. It's just that conventionally HFT systems do not actively take positions and are in the business of liquidity provision. In terms of market impact it also depends on how you define it...
  6. Direction Needed

    Fair enough - for quant analysis BCOM is not the best choice though. It really depends on where you see yourself. If IB'ing or consulting is where you want to break into then do a BCOM - maybe with a minor in maths/stats to distinguish yourself from the crowd a bit. If it's quant'ing then you'd...
  7. Direction Needed

    I am only vaguely familiar with the OZ HSC system, but I think that similar to Germany, admission requirements to uni are to a large extent a function of supply and demand each year with your HSC score being the differentiating factor. Admission requirements for BSc's being lower may simply...
  8. Direction Needed

    Which uni are you studying at? Almost every uni (USYD, UNSW, UTS,...) allows you to do a BSc degree in Maths/ Statistics with a major in Finance. They also offer double degree (BCOM/BSc) programs. It really depends on where you see yourself and what your interests are, but if you are leaning...
  9. Who uses Latex?

    Have you tried OpenOffice's Maths? It's a pretty good editor - it has it's own typesetting language that's very close to LateX and renders instantly to the document.
  10. Best online virtual stock market?

    How about you approach www.collective2.com and propose a joint venture? I haven't tried them yet, so don't know their terms and as to whether they charge any fees, but should give one a fairly good idea as to their potential real world performance.
  11. Generic class supporting arithmetic operators in C#

    That API already exists for both ends. You can call C++ functions from R via RCPP or RCOM (for C++, C#). You can also integrate the R engine into C++, C#... via the statconnector.
  12. Prostitution and Escorts on Wall Street

    I sell my company and brain to the highest bidder, too!
  13. Quant, Strat, Risk, Trading, Structruring Fund Management Pay Survey

    Any chance we can see the survey results any time soon? Obviously salaries would be interesting, but I noticed you also put some catch ya's in there (maybe not intentionally so) so I'd be curious to see the results.
  14. SQL interraction with VS

    Ah ok...The middle one didn't work because you set nPartitions to 1000. This basically will kick off 0 threads and hence the quick result. The resulting matrix should be empty in that case. nPartitions should never be larger than the number of rows in matrix A. I think you need to make the...
  15. SQL interraction with VS

    Maybe try 10, 25, 50, and 300.
  16. SQL interraction with VS

    I am assuming you have access to .Net Framework 4 right? Then just add the following to your namespaces: using System.Threading; using System.Threading.Tasks;
  17. SQL interraction with VS

    Yes, please. I'd be interested to know. As I said, I haven't checked this (in this particular use case) and would be curious to know. Note that the matrices should be large - otherwise you won't see much of a difference.
  18. SQL interraction with VS

    The code essentially does what you are doing , but instead of your most inner "while" I used a "for". It wraps the multiplication in an Action function object, partitions the rowspace of matrixA into nPartitions and does the multiplication on nPartition Threads in parallel. Your code does the...
  19. SQL interraction with VS

    Meant to say: are divisible by the nPartitions argument.
  20. SQL interraction with VS

    Sticking to your example, this is a way to parallelize it. It's not perfect and could be improved. I just cooked this up so it isn't tested. It should work, but assumes that the number of rows in matrixA are even. Not difficult to generalise it. static double[,] Multiply(double[,]...
  21. SQL interraction with VS

    I understand where you are coming from. I agree it's good to start from first principles on these things and what one should be doing in their own time or whilst studying. For production purposes, I find it's (a) faster and (b) safer to use code/ libraries that are already out there. With safer...
  22. SQL interraction with VS

    How about using PCA to reduce the rank of your covariance matrix and then use a solver to determine the weights of the portfolios on the frontier? There are lots of open-source solver packages out there for C# ie ILNumerics.Net - numeric computing for .NET Optimization. Numerical Methods on C#...
  23. SQL interraction with VS

    Ok, I misunderstood. I thought that retrieving the dataset itself from the DB was the problem or a big part of it. But I don't see how SQL or doing arithmetics on SQL Server could do matrix multiplications/ or general arithmetics faster? I am quite certain that you won't get any speed up from...
  24. SQL interraction with VS

    Sometimes a plain old binary file is the better option over SQL depending on what your data looks like. Ask yourself: - Do you have many updates to a record set? - What do my selects look like? Am I targeting specific records? If no to both, you are often better off using binary files where...
  25. What is the best Visual C++ .Net book I should start with?

    Do yourself a favour and skip managed C++. If you want to program in a managed environment, learn C#. By the way, the book on building automated trading systems you bought should really be called "An introduction to Visual C++ - with applications to building automated trading systems". Not the...
  26. What is the best Visual C++ .Net book I should start with?

    If you are interested in coding GUIs in C++, I'd recommend you look into the Qt framework. IMHO a much better framework than MFC. Funnily, I find it approximates the .Net idea/ framework of wrapping Windows classes much better than MFC itself. Plus it's portable. In regards to learning C++ I...
  27. Why is there a lot of international students pursuing mfe?

    There are so many factors as to why German/ French unis attract lesser international talent than the US, so I'll just name a few: - Marketing: the US have always been far superior in marketing and selling their goods including education than their continental counterparts. - Language: almost...
  28. SQL interraction with VS

    @Tsotne: you do break up that array into subarrays though right? Or are you using .Net's ConcurrentBags? Otherwise you'll have to do a lot of locking/syncing and wont really get the benetfits from multithreading.
  29. SQL interraction with VS

    Yes, it has a learning curve and as always it depends on what the objective is. I have used WCF thus far on two projects only which are admittedly not mission crucial. I used it across 5-10 (depending on availability) machines on the local network and found it to be very stable and reliable. If...
  30. SQL interraction with VS

    Not sure if you are already doing this, but whenever speed is an issue but memory isn't, I'd usually just break the data up and run the arithmetics on separate threads and then combine the results back on the main thread. If memory is an issue the hacky way would be to create a separate process...
  31. Coding skills?

    @BBW: Erik Schloegl's new book, once it's finally published, will be along the lines of what you are suggesting with a strong focus on theory and/ integrated with code (C++). Watch out for that one - it'll be good!
  32. Quant Programming Contest

    I think this is a great competition for the intended target group. Personally, I dont see IP as being a big issue here, as it's quite clear as to what the intended benefits are for the person/group hosting the competition. Whilst order book modelling is definitely an interesting and important...
  33. C# graphing tools

    I discovered ILNumerics recently - it's Open Source and a fantastic 2D/3D graphics API sitting on top of OpenGL: http://ilnumerics.net/ It lacks a bit on the documentation side of things, but it's not too bad.
  34. best c ++ compiler?

    I guess one of the main benefits of VS is the ability to debug and easily integrate multiple projects of different environments in one place. For instances, I've found myself mixing native C++ with managed C# quite a lot lately and being able to jump in and out of unmanaged/ managed code while...
  35. best c ++ compiler?

    @Roman It is true that C++ Intellisense is a pain in the back though I wouldnt say it's not supported. It is just frustratingly slow in a banging-your-head-against-the-desk kind of way. There is full support for all managed languages though.
  36. best c ++ compiler?

    Yes, it does support pretty much everything but lacks the memory profiler and other performance analysis tools that come with the Ultimate (I believe it is) edition. Check it out yourself - it's free if you have a valid student ID and email.
  37. Starting Crude Oil and Coal Technical Analysis

    If one aspect of your problem is the valuation of fuel storage and particularly the timing of it, look into the gas storage (real option) and swing contracts modelling approach. Your storage tanks will have their own physical restrictions like injection and withdrawal rates (usually...
  38. Starting Crude Oil and Coal Technical Analysis

    Dragunov, as I understand it, you work for a generator. Usually, generators sell parts of their available energy into the grid at market, but also have wholesale agreements with retailers and large customers in place. These are usually swap-type structures where the generator would receive fixed...
  39. C# Grid Component suggestion needed

    oops...I should have read more carefully. Sorry about the misleading link (which is a good read nevertheless if you are thinking about distributing parts of your MC sims).
  40. C# Grid Component suggestion needed

    Depending on the level of sophistication required, you can build your own grid fairly easily via .Net Remoting. A good MSDN article explaining it using a "gridded" Fast Fourier Transform as a scientific example is here, Using .NET Remoting for distributed processing systems
  41. What is going to happen?

    I'm a big fan of Thai stocks. They generally pay very good dividends and have seen nice growth over the past year. SEA in general is quite interesting, as money often appears to flow into those markets midterm when there is more uncertainty in established markets. Based on fundamentals against...
  42. The 25 Weirdest Interview Questions

    Haha...good one. First guy puts on two so each condom has an unused surface. Second guy uses the outer condom. Third guy turns the first guy's inner condom inside out and then puts the second guy's on top :D
  43. Who Owns the Future?

    Don't entirely agree with that statement, Dominic. Though I do not know the English schooling system very well, I can speak of the German system which filters (or has filtered during my time) extremely from an early age onwards. Where else in Western schooling systems do you have to make a...
  44. Interview Questions at JPMorgan Sales and Trading

    In regards to the salary question, what does the forward (rate) curve look like?
  45. OS DB for storing market update messages - Recommendations plz

    Sorry, can't help you there. We just discussed the initial investment. Also, in the case of OneTick, you apparently have to pay extra for the query engine. I wonder whether MonetDB is a viable option as it's columnar based as well. Currently, I am looking into FastBit as well which by its...
  46. OS DB for storing market update messages - Recommendations plz

    Figure of speech. I had a chat with the guys who do the message updates interpretations for us about tick databases, in particular KDB and OneTick. They said it'd be in the order of 100k+.
  47. OS DB for storing market update messages - Recommendations plz

    Thanks Alan and Eugene. Didnt know that the 32bit developer's version is for free - never thoroughly looked at it when I saw the price tag :S KyotoCabinet is basically TokyoCabinet 2.0 from what I understand and developed in C++. It's actually quite straightforward to use, has decent docu...
  48. OS DB for storing market update messages - Recommendations plz

    Havent tried BerkeleyDB but KyotoCabinet, Kyoto Cabinet: a straightforward implementation of DBM which is also a Key/Value type database. I think I have come across some test cases on the web where it actually did perform better. Havent thoroughly tested it, but just did some basic tests using...
  49. OS DB for storing market update messages - Recommendations plz

    I guess I should have clarified: the messages I am referring to are snapshots of the market order book at irregular-spaced, very short time intervals containing either depth updates (bid and ask volumes and prices up to ten levels each side) or trade updates. What I meant to say is that...
  50. OS DB for storing market update messages - Recommendations plz

    Experiences on Sphinx, hdf5 or both? :D From what I have read, hdf5 sounds like a very feasible solution, http://www.puppetmastertrading.com/blog/2009/01/06/tick-data-hdf5-part-2/#more-280 to my problem, but still interested in other members' experiences of course.
  51. OS DB for storing market update messages - Recommendations plz

    Haven't heard about Sphinx before, thanks. Will give hdf5 a good look first and then check out Sphinx, if required.
  52. OS DB for storing market update messages - Recommendations plz

    This was just an example of one hour of market depth and trades messages. My experience is that if you have, say, a year of data relational DBs do not scale well and working with binary files is more suitable.
  53. OS DB for storing market update messages - Recommendations plz

    I have read mixed reviews with respect to MonetDB's application to HF data and therefore never tried. Might give it a shot though. Anyone have experiences with MonetDB, Infobright and the like?
  54. OS DB for storing market update messages - Recommendations plz

    Hi all, was wondering if anyone can recommend or has experience with an open source database for storing and, especially, retrieving market depth and trade messages? Thus far I am caching messages in memory until they grow to a certain size by creating an object of each message, push that...
  55. The Risk Neutral Measure

    Platen suggests an alternative in his Benchmark Approach to Quantitative Finance. He develops a framework for pricing under the real world measure whereby your numeraire is the best performing (he calls it growth optimal portfolio) market portfolio. Since that benchmark portfolio must be unique...
  56. best c ++ compiler?

    By the way, students can download MS Visual Studio 2010 Professional and other goodies from MS free of charge (and legally) from Microsoft DreamSpark , in case you didnt know.
  57. Calling All Quants Working in Australia - HELP PLEASE!!!

    In response to the OP, there is no black and white answer. Generally, yes, quantitative roles tend to be more on the risk side of things here, particularly, credit. I dont have personal experience in that area, but I don't think that most banks would engage much in exotic credit derivatives so...
  58. Free SVN Hosting

    Yes, I forgot to mention Git. I am not familiar with other source control systems and found SVN in connection with TortoiseSVN very quick to set up and use. This is not for work purposes but rather for my own projects. For me there is no need for a more advanced system, really.
  59. Free SVN Hosting

    I checked out google as well, but don't they offer public (eg open-source) projects only? I'll check out the others you suggested, though.
  60. Free SVN Hosting

    Hi all, many maybe familiar with this already, but for those who didn't know: Basically, I have been working on different (physical) locations like home, uni, work,... on the same coding projects. I got annoyed by having to email to myself the latest changes and updates I have made so that...
  61. Quant demand

    I agree with the general tenor in this thread, but I do also think that more and more fields will become more quant-ish. Any business where real option valuation for instances is relevant might at some stage consider modelling their optionality. Energy is a good example of this which is quite...
  62. MsC ETHZ Quantitative Finance - phd

    AI is quite relevant in the hedge fund/ high frequency space, but not so much (probably not at all at least I havent heard of it - which doesnt mean anything :D) in pricing or risk. I guess the question is whether you want to be a quant trader or a quant working on the pricing/risk end of...
  63. Blueprints/ UML diagrams for a Monte Carlo engine?

    Not working on anything major. Thus far it's just for a uni assignment and I am probably overdoing it. Something similar to Joshi's treatment of the subject would probably already suffice. However, as I am already at it, I'd like to build an MC engine that's more easily scalable and makes me...
  64. Blueprints/ UML diagrams for a Monte Carlo engine?

    Thanks, Daniel. Chapter 0 already answers quite a few of my questions. In fact, I quite like your approach. I'll get your book from the library tomorrow.
  65. Blueprints/ UML diagrams for a Monte Carlo engine?

    Hi guys, was wondering whether anyone can recommend or has come across a good blueprint for a Monte Carlo engine? I have looked around and had a look at Joshi's in C++ Design Patterns and Derivatives Pricing. Whilst it's great for educational purposes, it seems quite tedious. For...
  66. looking for advise in MFE

    It can be done faster than that. It's just classified as a part-time degree as a lot of students work. Lectures start at 6pm. The UoS degree is a MCom with a Quant Finance major. I don't think it provides enough scope and depth for you to be attractive for quant roles, but could be wrong. It...
  67. looking for advise in MFE

    Being your 'neighbour', I think I can contribute to this a bit: The general tenor here is correct - the level of maths coming out of a commerce program is usually not sufficient in order to be successful in an MFE program. Your application will very likely be rejected also. I'd go with the...
  68. Math Prorgramming Interview Question

    Thought about this as well and I reckon this should work also. Unless x or y > max and such that their product is < max, as another poster pointed out.
  69. Math Prorgramming Interview Question

    I think the way to go about this is to look at x's and y's binary representation which renders the problem to one where one considers the bit lengths of x and y, say n and m. The product of their numeric types will have some bit representation of n + m bits length. If n + m is greater than the...
  70. A Fun Interview Question

    Lots of interesting answers, guys. I don't have the solution to the pirates problem, but think you have it pretty much covered. My answer would have been P(5) = 498, P(2) = 1, and P(1) = 1. I am not sure whether it really matters if P(3) or P(2) get the other coin. Either of them should be...
  71. A Fun Interview Question

    Nice variation on the lion problem. Not the same, but similar: Five pirates have 100 gold coins. They have to divide up the loot. In order of seniority (suppose pirate 5 is most senior, pirate 1 is least senior), the most senior pirate proposes a distribution of the loot. They vote and if...
  72. recommendation on workstation

    Wasn't aware of that, but that's quite interesting. I know about the problem as to how the native .net threading library manages multithreading - the developers working next to me have been cursing it for quite a while. We switched to some opensource .net library (I think) that handles...
  73. recommendation on workstation

    Alain, just wondering why you'd recommend a fairly powerful GPU for work that is not very graphics intensive? Excuse my naivity on this topic, but can you redirect eg threads to be run on the GPU instead of (or on top of) the main CPU(s)? If so, how would that work in eg .Net? Does the .Net...
  74. Assigning Distributions in Excel

    So you'll be working with log returns? Then look at which distribution fits best your sample of log returns data (after removing any deterministic components) and use that one to draw realisations. Not sure whether Weibull, lognormal, or exponential distributions are a good idea to use for...
  75. Assigning Distributions in Excel

    The best way to get a feel for the data and its underlying distribution would be a) to plot a histogram. Excel has a built in functionality for that. b) test for normality using for instances the Jacque-Bera (I think it's called) test. c) a Q-Plot to visualise the extent your data differs...
  76. Correlated Random Numbers

    This may be overstretching the scope of your assignment a bit, but you could use for instances the R Com Interface plugin to hook up the R engine to Excel. You can download the plugin from here statconn You will also need to download R from The R Project for Statistical Computing. It'll give...
  77. Side business

    In the UK, and EU gambling is tax free, so you wouldn't have to declare any profits there. I dont live in the US (never have), so I was just curious how taxes would apply then. Currently, I live in Australia and gambling profits are tax free over here as well. Hence, I wouldnt get taxed for any...
  78. Side business

    Not familiar with US tax laws at all, but couldnt you just open a bank account overseas and top up your gambling account from there? Obviously, you couldn't deduct losses either, but you wouldnt have to pay any taxes on your profits in the first place - provided your account is in UK or...
  79. MFE program in Australia or Michigan

    Oh....Hi George, just noticed that you're on here as well :D. Yes, I am taking Eckhard's class and we actually spoke last week in front of the classroom (we were waiting for security to open the door) re scheduling of Advanced Instruments classes and exams in the summer. Not sure which year I...
  80. MFE program in Australia or Michigan

    It is true that you dont have as an abundance of MQFs/ MFMs in Australia as you would have in US or EU. From the top of my head, unis that offer a proper one, are: - UTS (Uni of Technology, Sydney), - UNSW (Uni of NSW, Sydney), - ANU (Australian National Uni, Canberra), - Uni of Wollongong...
  81. Recruiters are calling, but...

    Interesting. I just had a look at DeShaw's website and from what they say is that they value diversity and achievements. Kinda contradicts that they rule out ppl just because they had worked at a different firm - are you serious? I cant believe that, if you are a good, competitive candidate they...
  82. Recruiters are calling, but...

    I dont know much about the US employment market, but why do you think that gaining experience from firm A disqualifies you automatically from joining firm B at a later stage? Where did you get this idea from? 100k + bonus is a good salary package for someone entering the industry with zero...
  83. Data Structure for Matrix Implementation

    Generally, I'd agree with Alain and wouldn't waste my time. However, if it is for your personal learning and understanding, then I'd do it. To answer your question, I'd always build a class as you can attach very useful members to it such as an inversion function, operators (for element...
  84. My simulated Wiener process (Matlab)

    You are simulating from time 0 to time 1, so the variance at time t=1 should be equal to 1 (theoretically). Empirically, the variance across the 1000 sims of your simulated values at time t=1, will not be exactly equal to 1. You will have to play around a bit with the discretisation of the sde...
  85. My simulated Wiener process (Matlab)

    Looks very much like an assignment question to me :D. But what do you mean by, " So the final values should be in [1,2] range, but this is not the case in my graph"?? Why should they be within that range???
  86. VBA web query question

    what's your roadblock? I suppose it's frames or any info wrapped in div tags, as they are not picked up by the web query tool. You will need to extract the source, then use the MS Html parser to build the document tree, and then extract the info from there using e.g. regular expressions or...
  87. VBA question

    This may not answer your question, but depending on whether your problem is of commercial nature or not, you might want to consider R-Com interface to hook up to the R engine from Excel: http://www.sciviews.org/_rgui/projects/RDcom.html It's really easy to call R functions from within VBA code...
  88. Quantitative Interview questions and answers

    You are right...I see where I have gone wrong. I really should have read the question more carefully! What do I take away from this? Never drink and read Quantnet (after 12am) :D
  89. Quantitative Interview questions and answers

    I think the problem can be restated as a Bernoulli experiment where the only thing that matters is that Bob tosses a 6 on the third or fourth trial. That Sue and Bob take turns does not matter. What matter is to account for the fact that Bob is either the first to start the experiment or second...
  90. Choose R or SAS

    erm...last time I had to work with SAS I recall cursing it constantly. SAS is not a programming language! It has a horrible syntax that is not intuitive at all for someone who understands how to code (to be fair - I just had to use SAS for one day only). Personally, I can't see how SAS would...
  91. Resume tip: putting bullets to the right of text

    Referring to the Microsoft Support website you referenced, your problem looks similar to this, Skills: - C++ _____- C# _____- VBA for instances. This requires one table with one row and two columns. That is (as I said in my first reply) if I interpreted correctly what you wanted to achieve
  92. Resume tip: putting bullets to the right of text

    If I interpret your problem correctly, an easy workaround for this would also be to just use tables.
  93. Lecture Notes/Websites for fundamental math/derivative materials

    I'd say James Stewart's Calculus and Concepts is a fairly standard undergrad's maths textbook with lots of worked examples, good explanations and exercises (including solutions). It does have some basics on Linear Algebra, too, if I recall correctly.
  94. Looking for derivatives book

    I'd say Neftci's 'Introduction to the Mathematics of Financial Derivatives' is a good to read and easy to understand introduction: Amazon.com: Introduction to the Mathematics of Financial Derivatives (Academic Press Advanced Finance): Salih N. Neftci: Books It also covers calculus to the...
  95. Anyone trade SPAC???

    yeah I am interested too...put me on your distribution list as well plz @ emsfeld@gmail.com
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